The new report, titled "European ABS and RMBS: Structured finance ratings in Aaa-countries ratings are stable; downgrades expected in other countries", is now available on www.moodys.com.
Moody's anticipates that less than 10% of transactions in European countries with an Aaa country ceiling (France, Germany, Netherlands, and the UK) would be affected by fewer than two notches, with the remainder unaffected.
However, deterioration in Irish, Italian, Portuguese and Spanish ABS and RMBS will range from moderate to significant, driven by (1) deterioration of the credit quality of sovereign and financial institutions serving as transactions' parties in the past 12 months; (2) June 2012 updates to Moody's European RMBS rating methodology and Moody's approach to analysing set off risk in Italian transactions; (3) continued collateral performance deterioration and/or greater uncertainty about future performance; (4) Moody's proposed methodology changes to capture the effects of rapid and significant country credit deterioration on structured finance transactions; and (5) Moody's proposed approaches to assess the linkage to swap counterparties, account banks and eligible temporary cash investments in structured finance transactions. Many structured finance transactions in countries where the country ceilings are below Aaa are affected by a combination of these drivers.
In Spain, Portugal, Italy and Ireland, the ratings have been lowered to the country ceiling and the majority of senior, mezzanine and subordinated ratings affected were placed under review for downgrade. 60% of deals in the combined four countries have ratings under review, almost 100% only in Spain. Moody's expects to undertake an initial phase of rating actions that will be completed by the end of the fourth quarter of 2012, to incorporate ratings drivers that have developed in the past 12 months. Ratings that are likely to be further affected by a detailed assessment of pool performance, country risk and counterparty exposure, as well as proposed methodology updates will remain on review. Moody's will address these changes in a second phase of rating actions, which is expected to be concluded by the second quarter of 2013.
In all European countries, Moody's expects to have final review of the remedial actions that have been implemented following downgrades of financial institutions in the second quarter of 2012 and take rating actions on structured finance transactions where necessary.
The report can be accessed this report via this link http://www.moodys.com/viewresearchdoc.aspx?docid=PBS_SF302185
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Annick Poulain MD - Structured Finance Structured Finance Group Moody's France SAS 96 Boulevard Haussmann Paris 75008 France JOURNALISTS: 44 20 7772 5456 SUBSCRIBERS: 44 20 7772 5454 Henry Charpentier MD - EMEA Structured Fin Structured Finance Group JOURNALISTS: 44 20 7772 5456 SUBSCRIBERS: 44 20 7772 5454 Releasing Office: Moody's France SAS 96 Boulevard Haussmann Paris 75008 France JOURNALISTS: 44 20 7772 5456 SUBSCRIBERS: 44 20 7772 5454 (C) 2012 Moody's Investors Service, Inc. and/or its licensors and affiliates (collectively, "MOODY'S"). All rights reserved.
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